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Stochastic differential equations (SDEs) offer powerful and accessible mathematical models for capturing both deterministic and probabilistic aspects of dynamic behavior across a wide range of physical, financial, and social systems.…
We consider the problem of optimizing a real-valued continuous function $f$ using a Bayesian approach, where the evaluations of $f$ are chosen sequentially by combining prior information about $f$, which is described by a random process…
The montecarlo method, which is quite commonly used to solve maximum entropy problems in statistical physics, can actually be used to solve inverse problems in a much wider context. The probability distribution which maximizes entropy can…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally expensive simulation models that lack analytical tractability…
We introduce a Monte Carlo Virtual Element estimator based on Virtual Element discretizations for stochastic elliptic partial differential equations with random diffusion coefficients. We prove estimates for the statistical approximation…
We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path…
Sample-based Bayesian inference provides a route to uncertainty quantification in the geosciences, and inverse problems in general, though is very computationally demanding in the naive form that requires simulating an accurate computer…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid of portfolio weights, then use control regression to…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
Motivated by a challenging problem in financial trading we are presented with a mixture of regressions with variable selection problem. In this regard, one is faced with data which possess outliers, skewness and, simultaneously, due to the…
Estimating the trace of the inverse of a large matrix is an important problem in lattice quantum chromodynamics. A multilevel Monte Carlo method is proposed for this problem that uses different degree polynomials for the levels. The…
In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of…
This paper investigates the comparative performance of two fundamental approaches to solving linear regression problems: the closed-form Moore-Penrose pseudoinverse and the iterative gradient descent method. Linear regression is a…
A procedure for unfolding the true distribution from experimental data is presented. Machine learning methods are applied for simultaneous identification of an apparatus function and solving of an inverse problem. A priori information about…
Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…
Using diffusion priors to solve inverse problems in imaging have significantly matured over the years. In this chapter, we review the various different approaches that were proposed over the years. We categorize the approaches into the more…
We propose a novel stochastic algorithm that randomly samples entire rows and columns of the matrix as a way to approximate an arbitrary matrix function using the power series expansion. This contrasts with existing Monte Carlo methods,…